The Tenth Doctor said “I don't want to go” because The Doctor really liked being his in his tenth body. For a timelord a body is like a set of clothes. Sometimes you really like a set of clothes and you never want to get out of them, that's how The Tenth Doctor felt. read more
For the audience, it is unlikely (but never impossible in Doctor Who!) that we'll see these characters or the 10th Doctor again, so the sadness (and 10's final "I don't want to go") is ours. read more